Beyond Average Error through Oracle-Informed Stress Tests for Time-Series Forecasting
Average squared error cannot reveal whether forecasting performance degrades because the future becomes less predictable or because forecasts move farther from the conditional mean. We introduce paired, mechanism-controlled stress tests that decompose changes in expected squared error at each lead time into environment...
Xu Lin, Run-Heng Zuo, Sheng-Xuan Xu et al.
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